JAPAN AIRLINES (Germany) Market Value
| JAL Stock | EUR 14.80 0.20 1.37% |
| Symbol | JAPAN |
JAPAN AIRLINES 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to JAPAN AIRLINES's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of JAPAN AIRLINES.
| 12/04/2022 |
| 11/23/2024 |
If you would invest 0.00 in JAPAN AIRLINES on December 4, 2022 and sell it all today you would earn a total of 0.00 from holding JAPAN AIRLINES or generate 0.0% return on investment in JAPAN AIRLINES over 720 days. JAPAN AIRLINES is related to or competes with Apple, Apple, Apple, Apple, Microsoft, Microsoft, and Microsoft. More
JAPAN AIRLINES Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure JAPAN AIRLINES's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess JAPAN AIRLINES upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.52 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 6.76 | |||
| Value At Risk | (1.96) | |||
| Potential Upside | 1.97 |
JAPAN AIRLINES Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for JAPAN AIRLINES's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as JAPAN AIRLINES's standard deviation. In reality, there are many statistical measures that can use JAPAN AIRLINES historical prices to predict the future JAPAN AIRLINES's volatility.| Risk Adjusted Performance | 0.0089 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.21) | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | (0.01) |
JAPAN AIRLINES Backtested Returns
JAPAN AIRLINES holds Efficiency (Sharpe) Ratio of -0.0354, which attests that the company had a -0.0354% return per unit of volatility over the last 3 months. JAPAN AIRLINES exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out JAPAN AIRLINES's semi deviation of 1.13 to validate the risk estimate we provide. The firm retains a Market Volatility (i.e., Beta) of 0.18, which attests to not very significant fluctuations relative to the market. As returns on the market increase, JAPAN AIRLINES's returns are expected to increase less than the market. However, during the bear market, the loss of holding JAPAN AIRLINES is expected to be smaller as well. At this point, JAPAN AIRLINES has a negative expected return of -0.0436%. Please make sure to check out JAPAN AIRLINES's jensen alpha, sortino ratio, maximum drawdown, as well as the relationship between the total risk alpha and treynor ratio , to decide if JAPAN AIRLINES performance from the past will be repeated in the future.
Auto-correlation | -0.2 |
Insignificant reverse predictability
JAPAN AIRLINES has insignificant reverse predictability. Overlapping area represents the amount of predictability between JAPAN AIRLINES time series from 4th of December 2022 to 29th of November 2023 and 29th of November 2023 to 23rd of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of JAPAN AIRLINES price movement. The serial correlation of -0.2 indicates that over 20.0% of current JAPAN AIRLINES price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.2 | |
| Spearman Rank Test | 0.03 | |
| Residual Average | 0.0 | |
| Price Variance | 1.62 |
JAPAN AIRLINES lagged returns against current returns
Autocorrelation, which is JAPAN AIRLINES stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting JAPAN AIRLINES's stock expected returns. We can calculate the autocorrelation of JAPAN AIRLINES returns to help us make a trade decision. For example, suppose you find that JAPAN AIRLINES has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
JAPAN AIRLINES regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If JAPAN AIRLINES stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if JAPAN AIRLINES stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in JAPAN AIRLINES stock over time.
Current vs Lagged Prices |
| Timeline |
JAPAN AIRLINES Lagged Returns
When evaluating JAPAN AIRLINES's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of JAPAN AIRLINES stock have on its future price. JAPAN AIRLINES autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, JAPAN AIRLINES autocorrelation shows the relationship between JAPAN AIRLINES stock current value and its past values and can show if there is a momentum factor associated with investing in JAPAN AIRLINES.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in JAPAN Stock
JAPAN AIRLINES financial ratios help investors to determine whether JAPAN Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in JAPAN with respect to the benefits of owning JAPAN AIRLINES security.